- CFA Exams
- CFA Level I Exam
- Study Session 14. Derivatives
- Reading 38. Valuation of Contingent Claims
- Subject 6. Option Greeks and Implied Volatility

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**CFA Practice Question**

The range of a put delta for a non-dividend-paying stock is ______

B. (-1, 1)

C. (-1, 0)

A. (0, 1)

B. (-1, 1)

C. (-1, 0)

Correct Answer: C

The range of a put delta is 0 and -e

^{-δT}N(-d_{1}). For a non-dividend-paying stock, δ is 0, so e^{-δT}becomes e^{0}= 1. The range becomes 0 and -(N(-d_{1}) = -(1-N(d_{1}) = N(d_{1}- 1. Since N(d_{1}) is between 0 and 1, the range of the put delta is therefore -1 and 0.###
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